Asymmetric GARCH processes featuring both threshold effect and bilinear structure

DOI10.1016/j.spl.2011.11.023zbMath1237.62113OpenAlexW1982654364MaRDI QIDQ419142

J. Herrera, H. S. Yoon

Publication date: 18 May 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.11.023

zbMATH Keywords

threshold GARCHasymmetric volatilitybilinear GARCH

Mathematics Subject Classification ID

Related Items (9)

On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series ⋮ The copula directional dependence by stochastic volatility models ⋮ Model selection based on value-at-risk backtesting approach for GARCH-type models ⋮ Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model ⋮ Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach ⋮ Markov-switching BILINEAR − GARCH models: Structure and estimation ⋮ Martingale Estimating Functions for Stochastic Processes: A Review Toward a Unifying Tool ⋮ Non-ergodic martingale estimating functions and related asymptotics ⋮ QMLE of periodic time-varying bilinear– GARCH models

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• Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
• ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
• BL-GARCH models with elliptical distributed innovations
• Quadratic ARCH Models

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